Murray,

I found the following:

"Optimal f with volatility. Murray Ruggiero proposed to adapt the position size calculated using the optimal f to the current market volatility.. This is founded on the hypothesis that when the market volatility is low, the chance of having a large loss is larger than when the volatility is high. We normalize the volatility from 1 to 0, where 0 is maximal volatility, and 1 – minimal:

Volatility_norm = (Max_Volatility – Current_Volatility / (Max_Volatility – Min_Volatility)

Then

Num_Lots = f_opt * Volatility_norm * Capital /

( -Max_Loss_Estimate)

Here the, f_opt is calculated also using the maximal loss evaluation."

On this site: http://www.tsresearch.com/public/money_management/money_management3/

Was wondering if you still believed in this methodology.  I'm also curious, naturally, how you'd set this up and calculate it in TS.  Any thoughts appreciated.